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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Vanguard U.S. Momentum Factor ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Vanguard U.S. Momentum Factor ETF (VFMO) has returned 3.18% so far this year and 30.98% over the past 12 months.
Vanguard U.S. Momentum Factor ETF
- 1D
- 4.68%
- 1M
- -5.53%
- YTD
- 3.18%
- 6M
- 3.17%
- 1Y
- 30.98%
- 3Y*
- 21.52%
- 5Y*
- 10.54%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Feb 15, 2018, VFMO's average daily return is +0.06%, while the average monthly return is +1.20%. At this rate, your investment would double in approximately 4.8 years.
Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +14.7%, while the worst month was Mar 2020 at -15.8%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, VFMO closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.6%, while the worst single day was Mar 16, 2020 at -13.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.60% | 3.43% | -5.53% | 3.18% | |||||||||
| 2025 | 5.08% | -4.29% | -8.05% | 0.45% | 7.90% | 5.27% | 1.32% | 3.59% | 6.01% | 2.65% | -2.23% | -0.37% | 17.39% |
| 2024 | 2.20% | 9.18% | 3.37% | -6.22% | 5.75% | 0.33% | 3.85% | 1.50% | 1.83% | 0.60% | 10.02% | -7.48% | 26.14% |
| 2023 | 4.05% | -2.34% | -2.58% | -0.97% | 0.43% | 8.59% | 3.22% | -3.45% | -6.03% | -5.08% | 11.89% | 9.33% | 16.25% |
| 2022 | -8.96% | 1.27% | 3.26% | -8.43% | 2.35% | -9.58% | 8.36% | -0.39% | -7.64% | 12.87% | 2.14% | -6.00% | -12.84% |
| 2021 | 5.27% | 5.65% | -1.01% | 2.73% | 1.41% | 2.02% | -1.96% | 3.39% | -3.32% | 6.71% | -3.72% | 1.14% | 19.16% |
Benchmark Metrics
Vanguard U.S. Momentum Factor ETF has an annualized alpha of 1.77%, beta of 1.07, and R² of 0.78 versus S&P 500 Index. Calculated based on daily prices since February 16, 2018.
- This ETF captured 107.56% of S&P 500 Index gains but only 99.97% of its losses — a favorable profile for investors.
- With beta of 1.07 and R² of 0.78, this ETF moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 1.77%
- Beta
- 1.07
- R²
- 0.78
- Upside Capture
- 107.56%
- Downside Capture
- 99.97%
Expense Ratio
VFMO has an expense ratio of 0.13%, which is considered low.
Return for Risk
Risk / Return Rank
VFMO ranks 72 for risk / return — better than 72% of ETFs on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) and compare them to a chosen benchmark (S&P 500 Index).
| VFMO | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.24 | 0.90 | +0.35 |
Sortino ratioReturn per unit of downside risk | 1.76 | 1.39 | +0.37 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 2.36 | 1.40 | +0.96 |
Martin ratioReturn relative to average drawdown | 9.07 | 6.61 | +2.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore VFMO risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Vanguard U.S. Momentum Factor ETF provided a 0.75% dividend yield over the last twelve months, with an annual payout of $1.48 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.48 | $1.57 | $1.19 | $1.17 | $1.97 | $1.07 | $0.51 | $1.06 | $0.48 |
Dividend yield | 0.75% | 0.82% | 0.72% | 0.89% | 1.72% | 0.81% | 0.45% | 1.22% | 0.70% |
Monthly Dividends
The table displays the monthly dividend distributions for Vanguard U.S. Momentum Factor ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.23 | $0.23 | |||||||||
| 2025 | $0.00 | $0.00 | $0.31 | $0.00 | $0.00 | $0.56 | $0.00 | $0.00 | $0.35 | $0.00 | $0.00 | $0.35 | $1.57 |
| 2024 | $0.00 | $0.00 | $0.16 | $0.00 | $0.00 | $0.32 | $0.00 | $0.00 | $0.27 | $0.00 | $0.00 | $0.44 | $1.19 |
| 2023 | $0.00 | $0.00 | $0.36 | $0.00 | $0.00 | $0.28 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.37 | $1.17 |
| 2022 | $0.00 | $0.00 | $0.36 | $0.00 | $0.00 | $0.56 | $0.00 | $0.00 | $0.49 | $0.00 | $0.00 | $0.56 | $1.97 |
| 2021 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.26 | $0.00 | $0.00 | $0.50 | $1.07 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Vanguard U.S. Momentum Factor ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Vanguard U.S. Momentum Factor ETF was 36.77%, occurring on Mar 23, 2020. Recovery took 90 trading sessions.
The current Vanguard U.S. Momentum Factor ETF drawdown is 6.36%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.77% | Feb 20, 2020 | 23 | Mar 23, 2020 | 90 | Jul 30, 2020 | 113 |
| -27.21% | Sep 5, 2018 | 77 | Dec 24, 2018 | 250 | Dec 20, 2019 | 327 |
| -25.8% | Nov 9, 2021 | 221 | Sep 26, 2022 | 340 | Feb 2, 2024 | 561 |
| -24.4% | Nov 27, 2024 | 89 | Apr 8, 2025 | 86 | Aug 12, 2025 | 175 |
| -12.18% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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